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Research Details
An Investigation of Commodity Futures Prices Using the Consumption Based Intertemporal Capital Asset Pricing Model, Journal of Finance
Abstract
In this paper we extend the multigood futures pricing model of Grauer and Litzenberger [9] to a dynamic discrete time setting. We then test the model using data on futures prices for corn, wheat, and soybeans. The parameter estimates we obtain are similar to those obtained by other researchers using stock return data. The model itself is rejected and we offer some suggestions as to which assumption may be violated. We also give an interpretation to the Hansen-Singleton nonlinear instrumental variables estimation technique used in our empirical work.
Type
Article
Author(s)
Date Published
1985
Citations
Jagannathan, Ravi. 1985. An Investigation of Commodity Futures Prices Using the Consumption Based Intertemporal Capital Asset Pricing Model. Journal of Finance. 40(1): 175-191.
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